Mutual Fund Trades: Timing Sentiment and Managing Tracking Error Variance

Tests of Market Timing and Mutual Fund Performance

What Style - Timing Skills do Mutual Fund “ Stars ” Possess ? *

Recent studies suggest that certain mutual fund managers manifest genuine skill but do not stipulate the particular skills that they possess. We examine in detail the style-timing abilities of 3,181 growth-oriented equity mutual funds over the period from 1993 to 2006. We find that an important contributor to the persistent abnormal returns observed is growth timing, i.e., switching stocks alon...

Measurement and Decomposition of Tracking Error Variance

An objective approach to distinguish the investment strategies followed by different mutual funds is proposed. Tracking error variance is used as a measure of how actively a fund is managed and several decompositions of tracking error variance are proposed to identify different investment strategies. Furthermore, recognizing that tracking error variance is subject to sampling error, we provide ...

Techniques for Managing Tracking Error

Managing tracking error on an ex ante basis requires an ability to assess the possible effects of trades on a fund’s performance relative to its benchmark. Given a trading strategy, its potential for reducing tracking error must be balanced against trading costs and return expectations. This chapter presents several simple diagnostic tools to help fund managers evaluate alternative trading stra...

IQ and Mutual Fund Choice

This study analyzes IQ’s influence on mutual fund choice. Using a comprehensive dataset of Finnish males, it finds that high-IQ investors are less likely to own balanced funds, actively managed funds, and funds marketed through a retail network. This behavior tends to reduce highIQ investors’ fund fees. Moreover, within each asset class and service category, and controlling for other investor a...